市场分割状况下我国资本市场信息效率分析-analysis of information efficiency of chinas capital market under market segmentation.docxVIP

Inthispaper,thetheoreticalsystembasedonefficientmarkethypothesis,theShanghaiAshareswereselectedandtheShenzhenB-sharemarketandtheAsharesandBsharesatthemarketclosingprice,weeklyclosingprice,themonthlyclosingpricedata,withtheirrateofreturnonthevalueofthenumberofTheuseofserialcorrelationtestandrunstesttwodifferentmethodsfortheShanghaiAshares,ShanghaiBshares,ShenzhenAshares,ShenzhenBsharemarket,theeffectivenessofthefourcapitalchildtested.Theempiricalresultsshow:TheShanghaiAshares,ShenzhenAshares,ShenzhenBshares,ShanghaiBsharesfollowedbydecreasingeffectiveness,theShanghaiA-sharemarketandtheShenzhenA-sharemarketcanbeconsideredweakformefficient,whiletheShenzhenTheShanghaiBsharesandBsharesarenotconsideredtomeettheconditionsofweakformefficiency,andthetwomarketshavebeenineffectiveintheprocessofmarketdevelopment;theShanghaiandShenzhenmarket,thehigheroneatthelowermarketefficiencyisdifficulttodetermine,butthelocationofSharesoflistedcompaniesisnotgreat;andsub-marketdifferencesbetweentheeffectivenessofBshareswasmainlyduetolimitedinvestorinformation,investorstructurearbitragemechanismandthelackofdifferencesinfactors.Finally,theeffectivenessofthevariousdifferencesbetweenthesub-market,thecauseanalysis,andthustoimprovetheeffectivenessofChinasstockmarketstrategiesandrecommendations.Atotaloffivepartsincludingthebody.Thefirstpart,mainlyonthebackgroundofthisstudy,significance,andrelevantresearchliteraturereview.Thesecondpart,thesystemintroducesthetheoryofefficientmarkethypothesis,includingthegenerationofefficientmarkethypothesis,meaning,classificationandinspection.Thethirdpartdescribestheselectedmodelinthispaperandtheprevioussampleofpreviousresearchdata,modelsandmethodstoenumeratethem.Thefourthpart,empiricalstudies,thepresentstageofChinaShanghaiandShenzhenstockmarketsaredividedintofoursub-markets,respectively,oftheeffectivenessofthefoursub-markets,anddrawconclusions.ValidityoftheShanghaiIVandShenzhen,theuseofaserialcorrelationtestandthenonparametricrunstesttwomethods.Intheempiricaltest,the